| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 52.0% | 100.0% |
| Cumulative Return | 137.57% | 598.84% |
| CAGR﹪ | 12.53% | 30.38% |
| Sharpe | 0.08 | 0.12 |
| Prob. Sharpe Ratio | 90.74% | 97.58% |
| Smart Sharpe | 0.08 | 0.12 |
| Sortino | 0.12 | 0.18 |
| Smart Sortino | 0.12 | 0.17 |
| Sortino/√2 | 0.08 | 0.12 |
| Smart Sortino/√2 | 0.08 | 0.12 |
| Omega | 1.02 | 1.02 |
| Max Drawdown | -61.93% | -81.42% |
| Longest DD Days | 1528 | 1045 |
| Volatility (ann.) | 7.35% | 11.96% |
| R^2 | 0.41 | 0.41 |
| Information Ratio | -0.01 | -0.01 |
| Calmar | 0.2 | 0.37 |
| Skew | 0.44 | -0.06 |
| Kurtosis | 46.34 | 34.97 |
| Expected Daily | 0.0% | 0.0% |
| Expected Monthly | 0.99% | 2.23% |
| Expected Yearly | 11.42% | 27.51% |
| Kelly Criterion | 0.15% | 3.06% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -0.76% | -1.23% |
| Expected Shortfall (cVaR) | -0.76% | -1.23% |
| Max Consecutive Wins | 11 | 14 |
| Max Consecutive Losses | 9 | 11 |
| Gain/Pain Ratio | 0.09 | 0.13 |
| Gain/Pain (1M) | 0.45 | 0.77 |
| Payoff Ratio | 1.04 | 1.03 |
| Profit Factor | 1.02 | 1.03 |
| Common Sense Ratio | 1.07 | 1.03 |
| CPC Index | 0.52 | 0.54 |
| Tail Ratio | 1.04 | 1.01 |
| Outlier Win Ratio | 13.52 | 4.18 |
| Outlier Loss Ratio | 4.9 | 4.15 |
| MTD | -0.79% | 14.53% |
| 3M | -2.41% | -8.86% |
| 6M | 2.98% | 29.99% |
| YTD | -3.75% | 1.04% |
| 1Y | 10.59% | 48.04% |
| 3Y (ann.) | 8.94% | 49.06% |
| 5Y (ann.) | 9.76% | 59.77% |
| 10Y (ann.) | 12.53% | 30.38% |
| All-time (ann.) | 12.53% | 30.38% |
| Best Day | 11.71% | 17.38% |
| Worst Day | -8.77% | -18.21% |
| Best Month | 30.96% | 60.78% |
| Worst Month | -21.21% | -37.29% |
| Best Year | 90.24% | 301.98% |
| Worst Year | -46.01% | -72.63% |
| Avg. Drawdown | -4.49% | -4.5% |
| Avg. Drawdown Days | 29 | 18 |
| Recovery Factor | 2.22 | 7.36 |
| Ulcer Index | 0.33 | 0.48 |
| Serenity Index | 0.03 | 0.12 |
| Avg. Up Month | 12.49% | 22.0% |
| Avg. Down Month | -8.59% | -13.5% |
| Win Days | 49.13% | 50.89% |
| Win Month | 47.73% | 52.27% |
| Win Quarter | 50.0% | 53.33% |
| Win Year | 62.5% | 75.0% |
| Beta | 0.4 | - |
| Alpha | 0.0 | - |
| Correlation | 64.41% | - |
| Treynor Ratio | 347.58% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2018 | -72.63 | -40.06 | 0.55 | + |
| 2019 | 94.31 | 86.52 | 0.92 | - |
| 2020 | 301.98 | 90.24 | 0.30 | - |
| 2021 | 59.79 | 2.21 | 0.04 | - |
| 2022 | -64.21 | -46.01 | 0.72 | + |
| 2023 | 155.61 | 52.43 | 0.34 | - |
| 2024 | 121.31 | 37.95 | 0.31 | - |
| 2025 | 1.04 | -3.75 | -3.61 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2021-02-21 | 2025-04-30 | -61.93 | 1528 |
| 2018-01-07 | 2019-08-06 | -56.73 | 576 |
| 2020-02-13 | 2020-04-30 | -33.57 | 76 |
| 2019-08-06 | 2019-10-26 | -20.06 | 80 |
| 2021-01-07 | 2021-02-19 | -19.44 | 42 |
| 2020-08-02 | 2020-11-18 | -17.21 | 107 |
| 2019-10-26 | 2020-01-14 | -16.59 | 80 |
| 2020-05-14 | 2020-07-27 | -14.18 | 74 |
| 2020-12-01 | 2020-12-17 | -12.95 | 15 |
| 2020-04-30 | 2020-05-13 | -11.85 | 13 |